Research Article
8 June 2026
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- Research Article1 June 2026
Reassessing the Spillover Hierarchy: Evidence of a Dual-Channel Mechanism Across India's Market Capitalization Spectrum
Background: The transmission of financial shocks across market segments is a critical determinant of systemic risk and contagion. While volatility spillovers between large and mid-cap stocks are well-documented, the role of the micro-cap segment in the broader market ecosystem remains underexplored. Objective: This study aims to provide a comprehensive analysis of shock transmission across the entire market capitalization spectrum of the Indian equity market, encompassing large-, mid-, small-, and micro-cap segments. Materials and Methods: Employing a Vector Autoregression (VAR) framework, the dynamics have been investigated through Granger causality tests, impulse response functions, and forecast error variance decomposition. To ensure the validity of the inferences, robustness is rigorously assessed using a Bayesian VAR (BVAR) with Minnesota priors. Results: The results identify the large-cap segment as the primary anchor and net transmitter of volatility spillovers in a top-down manner. Crucially, the inclusion of the micro-cap segment reveals a significant and previously undocumented "trickle-up" effect, where innovations in the smallest cap stocks exert a measurable influence on mid and small-cap returns. The convergence of findings from both VAR and BVAR frameworks underscores the robustness of this dynamic. Conclusion: This evidence establishes a dual-channel volatility transmission mechanism, challenging a purely top-down understanding of market interconnectedness. These findings have direct implications for portfolio diversification strategies and systemic risk management, highlighting the need for investors and regulators to account for the influential role of the micro-cap segment within the broader market ecosystem.
Current Articles
Most Popular Articles
- Research Article25 April 2022
The Factors Influencing Consumer Buying Decision of Electronic Products
Consumer behaviour study is an effort to understand the buying tendencies of buyers for their end use. Consumer buying decisions direct how healthy the company's selling policy fits market demand. The persistent invention in electronic products accompanied by great price war followed by various opponent products available in every market, has commanded sellers to focus on the consumers' buying behaviour. This study examines the effect of influencing determinants on consumer buying decision of electronic products amongst different socio-demographic profiles. The comprehensive analysis indicates that social and personal factors are strongly associated with the consumer buying decision of consumers which supports our previous study on similar ground and situational determinant is the new which play almost parallel role. The result also helps manufacturers and dealers in understanding consumer buying behaviour and assist in improvement on buyer gratification. It was recommended that sellers should take cognizance of the fact that socio-personal factors are the fundamental determinants of buyers' want and behavior and should therefore be considered when producing electrical products for semi-urban markets. - Research Article21 April 2022
Payment Mode Influencing Consumer Behavior:Cashless Payment Versus Conventional Payment System in India
Background: This paper is an effort to analyze cashless payment vs Conventional payment system in India. The current study focuses on the challenges and threats faced by Indian consumer while using digital money. The paper highlights the buying patter of consumer in context to cashless and conventional payment system. Methods: In the current study theoretical model is constructed reviewing different journals based on cashless as well as conventional payment system. The study evaluates factor effecting purchase decision in light of variables associated with payment mode. Primary as well as secondary data is used for framing the conceptual theory which emphasizes on associating factors for the use of card or cash as medium for purchase. The studies also focus on cashless payment and its impact on consumer. The study is based on quantitative research. The sample size chosen is 500 based on standard deviation of the pilot study. SPSS 19.0 is used in the current study for the analysis of quantitative data. Reliability analysis is used for measuring consistency of the questionnaire. Correlation test is used to find the association between independent and dependent variables. Results: The study evaluates the most promising factor for payment option in contrast to card and cash. - Research Article25 April 2022
Export, Import and Economic Growth in India: A Study
Export and Import are very crucial part of our international trade and have always been so in the past. Export helps the country to earn dearer foreign exchange which supports imports and this promotes the economic growth. This study is carried out to investigate the linkage between exports, import and GDPat factor cost at constant price in India for the period post liberalization from 1991-92 to 2012-13. It is analyzed how exports and imports contribute to the economic growth of India. This study found that imports must be supported by exports to achieve continuous growth in the economy. Export tends to have a positive influence on economic growth by keeping import constant but import negatively influences economic growth by keeping export constant. - Research Article9 July 2022
Impact of Work After Hours On Organizational Commitment Level And Job Satisfaction: A System Dynamics Approach
Work after hours depend on the working conditions of the organization where positive relationship with the organizational commitment and the employee job satisfaction can be seen. Work after hours depend on the working Aim of the study is to recommend a model for the organizational commitment, Job satisfaction and work after hours’ variables for any organization. Vensim 6.4 version and Stella 9.1.4 software packages were used for the analysis. Casual loop analysis was done to identify the interaction of the variables. Model is developed as fully causal loop analysis based on dimensions found in literature and extracted the applicable model. Formalized Casual diagram was mapped as a stock flow Model and simulated the model with previous research studies. Simulation results are matched with the previous literature for the verification of the relationships between the variables. Model validation is done with the direct structure test and sensitivity test. There is a limitation of the study which was that the System Dynamics was not supporting in interpreting the mediation effect of variables. - Research Article21 April 2022
Validate Peter-Lynch Model on Indian Stock Market
The concept of value investing became synonymous with Warren Buffet, the seeds of which were sown by Benjamin Graham. There many who have created a structure approach towards stock selection and investment. One of the veteran in this field Peter Lynch who managed a portfolio equal to GNP of nations like Ecuador. He insisted on few fundamental parameters like, Price Equity Ratio, Sales, Price to Earnings, Debt Equity and Price to Cashflow. This is the first time validation is done on India Equity Indices or for that matter Indian Stock Market. - Research Article25 April 2022
Factors Affecting Movement of Indian Stock Market: A Study with Special Reference to CNX Nifty
Stock markets are often referred to as barometer of an economy. Stock market indices not only tell us about the condition of stock markets but in a way they also reflect the health of an economy. Stock prices do not move in vacuum rather they are affected by a large number of factors. The objective of the study is to identify the factors affecting the movement of Indian stock market and the impact of these factors on the same. For the purpose of this study, CNX Nifty has been used to represent the movement of Indian stock markets. CNX Nifty is a well-diversified index consisting of 50 large cap companies representing most of the important sectors of Indian economy. The study deals with the time series data and consists of eleven variables i.e. Oil Prices, S&P 500, Nikkei, FTSE, NASDAQ, Wholesale Price Index as a proxy for inflation. Index of Industrial Production, Foreign Exchange Rate, Current Account Deficit, FII Investment and CNX Nifty. The study has been conducted over a period of 32 quarters from financial year 2005-06 to 2012-13. Researchers have used Principal Component Analysis and Regression Analysis for conducting the study and drawing the conclusions. All these variables have been clubbed into two factors namely Macroeconomic Factors and International Factors. The study revealed that both these factors i.e. macroeconomic factors as well as international factors have significant impact on movement of CNX Nifty.